Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model

Option pricing under the double stochastic volatility with double jump model

In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier tra...

Stochastic Volatility Jump-Diffusion Model for Option Pricing

where is the Poisson process which corresponds to the underlying asset t , t is the jump size of asset price return with log normal distribution and  t means that there is a jump the value of the process before the jump is used on the left-hand side of the formula. Moreover, in 2003, Eraker Johannes and Polson [3] extended Bate’s work by incorporating jumps in volatility and their model is giv...

Option Pricing under a Mean Reverting Process with Jump-Diffusion and Jump Stochastic Volatility

An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.

American option pricing under two stochastic volatility processes

Option Pricing under Ornstein-uhlenbeck Stochastic Volatility

We consider the problem of option pricing under stochastic volatility models, focusing on the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. We show they admit the same limit dynamics in the regime of low fluctuations of the volatility process, under which we derive the expressions of the characteristic function and the first four cumulants for the risk neutral probabili...